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Research Papers

On the pricing of capped volatility swaps using machine learning techniques

Stephan Höcht† Assenagon Asset Management S.A., München, Germany
,
Wim Schoutens‡ Department of Mathematics, KU Leuven, Leuven, BelgiumCorrespondence[email protected] [email protected]
&
Eva Verschueren‡ Department of Mathematics, KU Leuven, Leuven, Belgium
Received 13 Jun 2023, Accepted 04 Jan 2024, Published online: 06 Feb 2024

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